Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3499
Annualized Std Dev 0.4950
Annualized Sharpe (Rf=0%) -0.7069

Row

Daily Return Statistics

Close
Observations 3236.0000
NAs 1.0000
Minimum -0.4330
Quartile 1 -0.0154
Median -0.0023
Arithmetic Mean -0.0012
Geometric Mean -0.0017
Quartile 3 0.0120
Maximum 0.2167
SE Mean 0.0005
LCL Mean (0.95) -0.0023
UCL Mean (0.95) -0.0001
Variance 0.0010
Stdev 0.0312
Skewness -0.5743
Kurtosis 16.9993

Downside Risk

Close
Semi Deviation 0.0219
Gain Deviation 0.0240
Loss Deviation 0.0229
Downside Deviation (MAR=210%) 0.0270
Downside Deviation (Rf=0%) 0.0225
Downside Deviation (0%) 0.0225
Maximum Drawdown 0.9985
Historical VaR (95%) -0.0436
Historical ES (95%) -0.0707
Modified VaR (95%) -0.0467
Modified ES (95%) -0.0648
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-15 NA -0.9985 2797 2792 NA
2008-10-28 2008-11-04 2008-11-19 -0.3422 17 6 11
2007-03-14 2007-10-09 2008-01-17 -0.3014 209 140 69
2008-01-18 2008-05-19 2008-09-17 -0.2785 168 84 84
2008-10-10 2008-10-13 2008-10-15 -0.1857 4 2 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 1.1 -0.3 -0.3 -0.2 0.5 -0.2 -1.9 -3 4.4 -0.4 1.6 1.2
2008 -3.6 4.5 -6.3 -3.5 -1.4 0.2 1.2 2.4 4.9 -5.3 16.9 -5.2 2.7
2009 4.6 4.1 -2.7 -1.4 -8.9 -1.6 -1.4 3.9 5.4 5.5 -2.7 2.4 6.4
2010 -2.5 -2.3 -1.4 4.1 4.6 1.2 -0.9 -7.5 -0.2 -0.1 -4.9 -0.1 -10.2
2011 -3.3 4 -1.8 -0.6 5.9 -3.6 1.3 3 6.2 6.8 0.3 0.8 19.9
2012 -2.9 -0.8 -0.5 -1.2 5.6 -6.5 1.6 -1.5 -0.1 -3.2 -0.2 -2.7 -12.2
2013 -1.9 1.9 2.7 0.4 -1.4 -2.4 -3.7 -1.3 -1.2 0.1 -0.7 -0.7 -8.1
2014 0.9 -0.9 -1.6 -1.2 0.5 -0.6 -0.3 1.3 4.6 -2.8 4.6 2.3 6.9
2015 -0.4 0.6 1.6 2.3 1.6 -0.5 -1.4 6.4 1.5 -0.7 0 1.6 13.2
2016 0.8 -4.7 1.3 2.1 0 -2.8 0.9 1.3 -2.3 0.1 0.4 0.7 -2.4
2017 1.2 -4.4 -0.1 1.1 -1.8 -2.5 -0.9 -0.3 -0.8 3.6 -4.9 -0.5 -10.2
2018 4.1 7 -2.9 1.9 -1.8 -0.4 1.4 0.5 -2.1 -2 -1.6 -1.5 2.2
2019 -0.3 -1 -2.7 1.7 2.5 -1.1 3.1 -0.2 4.3 -3.9 1.2 -0.2 3.2
2020 4.7 3.9 8.8 5.7 -1.2 0.2 0.6 -1.8 1 2.1 -0.8 -1.2 23.6
2021 -4 -5 1.3 NA NA NA NA NA NA NA NA NA -7.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01 2158. SPY    145.  0.006    0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2 6.00e-3   0.0181
2 2007-02-08 2147. SPY    145. -0.0013   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5 1.38e-2   0.0046
3 2007-02-09 2181. SPY    144. -0.0074  -0.006    0.017    0.0385    0.137    0.257    0.332 GLD    66.1 9.20e-3   0.0286
4 2007-02-13 2153. SPY    145.  0.0084  -0.0016   0.0099   0.0469    0.142    0.246    0.298 GLD    65.8 2.60e-3   0.0162
5 2007-02-14 2085. SPY    146.  0.0066   0.0028   0.0185   0.0533    0.152    0.259    0.311 GLD    66.4 8.00e-3   0.0269
6 2007-02-15 2076. SPY    146.  0.0013   0.0054   0.0194   0.0521    0.141    0.266    0.299 GLD    66.4 6.00e-4   0.0136
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart